The views expressed herein are those of the authors and do not necessarily reflect those of the Deutsche Bundesbank.
a work on asset pricing models. His main research areas include modeling and estimation of credit risk, internal models for credit scoring and portfolio credit risk, and development and implementation of supervisory guidelines. He also works as a consultant in these fields for leading financial institutions. Rösch has published numerous articles on these… (More)
We would like to thank an anonymous referee for providing many helpful suggestions.
Financial institutions are faced with the challenge to forecast future credit portfolio losses. It is common practice to focus on portfolio models consisting of a limited set of parameters, such as the probability of default, asset correlation, loss given default or exposure at default. A simple portfolio model is also used in the Basel II framework for… (More)
State-of-the-art credit risk portfolio models and the New Basel Capital Accord consider only symmetric dependencies between borrowers in a portfolio, such as correlations. Recently, asymmetric dependencies have been introduced by Davis/Lo (2001) among others. However, statistical estimation techniques and empirical evidence on contagion is still rather… (More)
The views expressed in this paper are those of the authors and do not necessarily reflect the views of the Bank of Finland. * Abstract Basel II framework requires banks to conduct stress tests on their potential future minimum capital requirements and consider 'at least the effect of mild recession scenarios'. We propose a stress testing framework for… (More)
Disclaimer: The views expressed herein are our own and do not necessarily reflect those of the Deutsche Bundesbank, the BIS, or the KfW.